Try newer emulators. These include GBA for Game Boy, GBC for Game Boy Color, DeSmuME for Nintendo DS, PSX for Play Station, PPSSPP for PSP and PCSX2 for Play Station 2. These emulators are easily available on websites like emuparadise, Coolrom, Rom Hustler, etc.

3

Get the ROM(s). You are on your own to find the games ROMs. These are more often than not protected by intellectual property and you may not have them if you don't own the original game. You can also find these on websites like emuparadise, Coolrom, Rom Hustler, etc.

4

Get a real arcade controller (optional). Although not required it surely improves the gaming experience to use a real arcade controller such as x-arcade or slikstik. Of course you can also play with a keyboard, mouse, gamepad if you wish. If you need to map your gamepad/joystick to keyboard keys, use JoyToKey under windows and QJoyPad, RejoyStick or joy2key under GNU/Linux.

Tips

Manufacturers make stand-up arcade machines that are amazing and fun for the whole family such as the Quasimoto Quasicade.

To further improve your arcade experience you can build yourself a cabinet.

Some roms could be purchased legally online but the store recently closed.

If you just want to use the Konami code, there are still places with Konami games! Common places to play old arcade games are: Bowling alleys, actual arcades, and theme parks

Arcade controllers *do* improve the game experience and feel, but can be a bit expensive.

There was a hobbyist's rom burning service but it got shut down by MPAA [1].

Warnings

Playing a downloaded game on a computer is illegal even if you own the original copy of the game! However, you may dump the contents of a legal copy (if you are the owner) and play the dumped version legally through an emulator. It is illegal to distribute the dumped copy for others to download.

Do not pay for emulators. It's free software and developers won't get any of this money for their dedicated work. if you paid for it, you've been robbed.

Do not pay for illegally obtained roms. if you paid for those, not only you've been robbed but you are now an accomplice and can be prosecuted for it.